Broad Equity Market Tone:
- Advance/Decline Line: Slightly Lower
- Sector Performance: Most Sectors Declining
- Volume: Below Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 14.0 +6.9%
- Euro/Yen Carry Return Index 132.29 -.46%
- Emerging Markets Currency Volatility(VXY) 11.75 +1.03%
- S&P 500 Implied Correlation 53.45 +.93%
- ISE Sentiment Index 109.0 +9.0%
- Total Put/Call .93 -2.11%
- NYSE Arms .83 +3.22%
Credit Investor Angst:
- North American Investment Grade CDS Index 75.91 +.5%
- America Energy Sector High-Yield CDS Index 1,477.0 +5.43%
- European Financial Sector CDS Index 90.88 -.27%
- Western Europe Sovereign Debt CDS Index 25.87 -.4%
- Asia Pacific Sovereign Debt CDS Index 58.58 -.82%
- Emerging Market CDS Index 292.20 +1.05%
- iBoxx Offshore RMB China Corporate High Yield Index 126.90 +.06%
- 2-Year Swap Spread 12.5 +.5 basis point
- TED Spread 38.5 -2.0 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -22.75 +1.25 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 72.37 -.26%
- 3-Month T-Bill Yield .20% unch.
- Yield Curve 103.0 -2.0 basis points
- China Import Iron Ore Spot $54.80/Metric Tonne n/a
- Citi US Economic Surprise Index -6.10 -.9 point
- Citi Eurozone Economic Surprise Index -22.30 -.3 point
- Citi Emerging Markets Economic Surprise Index 2.40 +3.0 points
- 10-Year TIPS Spread 1.65% +1.0 basis point
- 25.5% chance of Fed rate hike at June 15 meeting, 35.7% chance at July 27 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +12 open in Japan
- China A50 Futures: Indicating n/a open in China
- DAX Futures: Indicating +45 open in Germany
Portfolio:
- Higher: On gains in my biotech/medical sector longs and emerging markets shorts
- Disclosed Trades: None
- Market Exposure: 50% Net Long
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